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Elements Of Multivariate Time Series Analysis Reinsel, Gregory C. Springer

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In this revised edition, some additional topics have been added to the original version, and certain existing materials have been expanded, in an attempt to pro­ vide a more complete coverage of the topics of time-domain multivariate time series modeling and analysis. The most notable new addition is an entirely new chapter that gives accounts on various topics that arise when exogenous vari­ ables are involved in the model structures, generally through consideration of the so-called ARMAX models; this includes some consideration of multivariate linear regression models with ARMA noise structure for the errors. Some other new material consists of the inclusion of a new Section 2. 6, which introduces state-space forms of the vector ARMA model at an earlier stage so that readers have some exposure to this important concept much sooner than in the first edi­ tion; a new Appendix A2, which provides explicit details concerning the rela­ tionships between the autoregressive (AR) and moving average (MA) parameter coefficient matrices and the corresponding covariance matrices of a vector ARMA process, with descriptions of methods to compute the covariance matrices in terms of the AR and MA parameter matrices; a new Section 5.

Detalhes do produto

Peso: 0,526 kg
Número de páginas: 380
Ano de edição: 2003
ISBN 10: 0387406190
ISBN 13: 9780387406190
Altura: 2
Largura: 16
Comprimento: 24
Idioma : Inglês
Tipo de produto : Livro
Assuntos : Estatística
Assuntos : Universitário Técnico

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